Bayesian estimation of incompletely observed diffusions
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Publication:5086440
DOI10.1080/17442508.2017.1381097zbMATH Open1500.60051arXiv1606.04082OpenAlexW3104814836MaRDI QIDQ5086440FDOQ5086440
Authors: Moritz Schauer, Frank van der Meulen 
Publication date: 5 July 2022
Published in: Stochastics (Search for Journal in Brave)
Abstract: We present a general framework for Bayesian estimation of incompletely observed multivariate diffusion processes. Observations are assumed to be discrete in time, noisy and incomplete. We assume the drift and diffusion coefficient depend on an unknown parameter. A data-augmentation algorithm for drawing from the posterior distribution is presented which is based on simulating diffusion bridges conditional on a noisy incomplete observation at an intermediate time. The dynamics of such filtered bridges are derived and it is shown how these can be simulated using a generalised version of the guided proposals introduced in Schauer et al. (2016).
Full work available at URL: https://arxiv.org/abs/1606.04082
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Cited In (17)
- Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes
- Data augmentation-based statistical inference of diffusion processes
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- A multiresolution method for parameter estimation of diffusion processes
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